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st: appropriateness of cluster option with xtreg, fe
I am trying to replicate someone else's findings. I have unbalanced
panel data (N (units) =100, t=25). The original analysis uses - xtreg,
fe -. (fixed effects gls). I can successfully replicate the original
results using -xtreg, fe -, and also when using the "robust" standard
error option: - xtreg, fe ro -. But when I add a "cluster(panel_id)"
option the key finding in the original analysis falls into
insignificance: -xtreg dv iv, fe ro cluster(panel_id). Standard errors
are about double for most variables when using the cluster(panel_id)
option compared to using just the -fe -ro options; coefficients are the
same, as I would expect.
Is clustering, as a general matter, statistically appropriate to perform
with -xtreg, fe- (I assume it is because Stata allows it, and Stata is
smart). And assuming my assumption is correct, is there a good method
for determining whether clustering is warranted/justified in my
Thoughts appreciated. I wouldn't worry about this is clustering versus
non-clustering didn't make a key result disappear. Also, I am aware
of Sribney's FAQ on clustering at
http://www.stata.com/support/faqs/stat/cluster.html, but he doesn't
quite address my question.
Jason Webb Yackee, Ph.D. Candidate; J.D.
Fellow, Gould School of Law
University of Southern California
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